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Business, 24.10.2019 01:00 yourgirlnevaeh

Given the following:
– stock a expected return= 0.28, standard deviation = 0.40
– stock b expected return= 0.16, standard deviation = 0.25
if stock a and stock b have a positive correlation of 0.48, which portfolio represent the minimum variance portfolio?

(1) weight of stock a in the minimum variance portfolio:

(2) weight of stock b in the minimum variance portfolio:

(3) the expected return and standard deviation of this minimum variance portfolio: and

can you explain how to do these?

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Answers: 3

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Given the following:
– stock a expected return= 0.28, standard deviation = 0.40
– stock...
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